Pair is strongly reverting towards the mean with accelerating velocity and stable volatility.
Regime: STRONG_REVERSION (high confidence)
Correlation: 0.67 · Cointegrated: yes
Z-score: 2.26 entry / 1.58 rolling
Half-life 2.4h · Hurst 0.91 · Hedge ratio 0.82
Pair volatility: 25.35%
Backtest: 45.45% win · Sharpe -1.76 · -1.33% return · 1.67% max drawdown
Pair Analysis: Long SUPER / Short LINK
Trade Statistics
- Roll Z-Score: 2.22 (4h timeframe) — indicates the spread is significantly extended.
- Correlation: 0.66 (4h)
- Half-Life: 17h (4h timeframe) — suggests mean reversion potential within a ~1-day window.
- Hedge Weights (4h): 48.2% SUPER / 51.8% LINK (sizing recommendation).
Sentiment & Context
- SUPER (Neutral): Mixed community sentiment with low engagement; currently in a "wait-and-see" phase regarding development.
- LINK (Bullish): Strong fundamental tailwinds driven by CCIP adoption and structural market-share growth; significant holder accumulation creates a persistent bid.
Remark
This setup is a classic mean-reversion play on a statistically extended spread (Z-score 2.22). However, the trade faces a fundamental headwind: you are longing a neutral asset against a structurally bullish one. While the statistical edge is high, the fundamental divergence suggests the spread may be "rich" for a reason (LINK's relative strength). Ensure tight risk management, as the trade relies on the spread compressing despite LINK's ongoing accumulation.
SUPER
LINK